Related papers: Optimal Selection of Transaction Costs in a Dynami…

This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…

Human dynamics is known to be inhomogeneous and bursty but the detailed understanding of the role of human factors in bursty dynamics is still lacking. In order to investigate their role we devise an agent-based model, where an agent in an…

The hidden-action model captures a fundamental problem of principal-agent theory and provides an optimal sharing rule when only the outcome but not the effort can be observed. However, the hidden-action model builds on various explicit and…

Dynamic decisions are pivotal to economic policy making. We show how existing evidence from randomized control trials can be utilized to guide personalized decisions in challenging dynamic environments with budget and capacity constraints.…

A principal uses payments conditioned on stochastic outcomes of a team project to elicit costly effort from the team members. We develop a multi-agent generalization of a classic first-order approach to contract optimization by leveraging…

This work considers a repeated principal-agent bandit game, where the principal can only interact with her environment through the agent. The principal and the agent have misaligned objectives and the choice of action is only left to the…

We propose an optimal solution to a deterministic dynamic assignment problem by leveraging connections to the theory of discrete optimal transport to convert the combinatorial assignment problem into a tractable linear program. We seek to…

In this work we study the optimal execution problem with multiplicative price impact in algorithm trading, when an agent holds an initial position of shares of a financial asset. The inter-selling-decision times are modelled by the arrival…

We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with transaction costs. The objective is to seek the optimal…

We study a general contracting problem between the principal and a finite set of competitive agents, who perform equivalent changes of measure by controlling the drift of the output process and the compensator of its associated jump…

I study the optimal design of ratings to motivate agent investment in quality when transfers are unavailable. The principal designs a rating scheme that maps the agent's quality to a (possibly stochastic) score. The agent has private…

This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…

In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…

We study the problem of agent selection in causal strategic learning under multiple decision makers and address two key challenges that come with it. Firstly, while much of prior work focuses on studying a fixed pool of agents that remains…

We study an online learning problem on dynamic pricing and resource allocation, where we make joint pricing and inventory decisions to maximize the overall net profit. We consider the stochastic dependence of demands on the price, which…

In this paper, we investigate cost-aware joint learning and optimization for multi-channel opportunistic spectrum access in a cognitive radio system. We investigate a discrete time model where the time axis is partitioned into frames. Each…

The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…

We consider the problem of incentivising desirable behaviours in multi-agent systems by way of taxation schemes. Our study employs the concurrent games model: in this model, each agent is primarily motivated to seek the satisfaction of a…

In this paper, we describe a novel agent-based approach for modelling the transaction cost of buying or selling an asset in financial markets, e.g., to liquidate a large position as a result of a margin call to meet financial obligations.…

The widespread deployment of Machine Learning systems everywhere raises challenges, such as dealing with interactions or competition between multiple learners. In that goal, we study multi-agent sequential decision-making by considering…